Cannot merge adjacent vertices
To get the result you want with smooth sides and better geometry there are a lot of steps necessary, but I can show you how this is achieved. For most of the following actions it's easiest or most comfortable if you use Vertex Select in Edit Mode.

Select everything with A, then press X &gt; Limited Dissolve. This gets rid of several vertices you don't need anymore.

From the menu choose Mesh &gt; Clean Up &gt; Split Non-Planar Faces.


It's important that the side faces are split at the vertices where they bend towards the front, so make sure the Max. Angle value in the split options is set low enough so that there appear new edges between those vertices marked in the image.

For the following steps you need to set the Snapping to Vertex. You can also enable the Snap Tool (the magnet symbol) or later hold Ctrl while moving things to temporarily enable snapping.


Now you have to make cuts in all front faces of each step (except for the smallest one). You do that with the Loop Cut and Slide tool. Enable it by pressing Ctrl+R, then move your mouse to one edge of the front face of the higher step behind the smallest step. Make sure you're on an edge above the small step to definitely cut the higher front face, not the backface of the small step. Click to cut the face, then slide the cut up to the corner vertex of the small step.

With the Snap tool enabled (or holding Ctrl for temporary snapping if the tool is disabled) make the loop cut snap to the corner vertex and left-click to place it there. Now you have to repeat this for each following higher step.


For the following actions make sure you have Options &gt; Auto Merge enabled. Next, select all six vertices between a smaller and a higher step that are supposed to be more or less aligned vertically (see left side). A good way to do it is to use the X-Ray or Wireframe mode, go to the Top View and select the very close vertices with Box Select or Circle Select.


To align them all, hit S to scale, then Shift+Z to constrain scaling to X and Y axis, hit 0 to scale to zero and left-click or Return to confirm. The vertices are aligned now but kept their distance vertically. You have to repeat this for all rows of vertices where the back and front of two steps meet.

After aligning all vertices like that, the Auto Merge option ensures that where two vertices shared the same location, they got merged into one. The only problem left now are the remaining inner faces that were on the backside of the steps. Deselect everything with Alt+A or double-tap A, go to the menu, Select &gt; Select All by Trait &gt; Interior Faces.


This selects all faces hidden inside the mesh. To delete them hit X &gt; Delete &gt; Faces. You can now go back to Object Mode.

Switching back to Solid View everything's shaded flat. Right-click the staircase &gt; Shade Smooth.


Now the staircase looks terrible although you have Auto Smooth enabled. The problem is you have set it to 105°, which means Blender smooths even over the sharp 90° corners. To correct this, set the value to something that is in any case below 90°, usually the default 30° are sufficient, maybe go up to 45° if that doesn't seem to be enough. Et voilà, it's finished.